C++ implementation for fast computing of the distance covariance or distance correlation. Implementation based on the article “Fast Computing for Distance Covariance” written by Xiaoming Huo and Gábor J. Székely and published in Technometrics (Volumne 58, 2016 – Issue 4).
This code performs a multithreaded matrix multiplication. It automatically scales to the number of available cores. The code is written in C++ and requires Qt and C++11.